Published on 2/12/2020 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse prices $2.15 million callable contingent income notes linked to ETFs
By Sarah Lizee
Olympia, Wash., Feb. 12 – Credit Suisse AG, London Branch priced $2.15 million of callable contingent income securities due Feb. 3, 2022 linked to the iShares MSCI Emerging Markets ETF, the iShares Russell 2000 ETF and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at the rate of 8% per year if each ETF closes at or above its knock-in level, 70% of its initial level, on each trading day during that quarter.
The notes are callable at par quarterly.
The payout at maturity will be par unless the least-performing ETF finishes below its knock-in level, in which case investors will lose 1% for every 1% that the least-performing ETF declines from its initial level.
Credit Suisse Securities (USA) LLC is the agent. Morgan Stanley Smith Barney LLC is acting as distributor.
Issuer: | Credit Suisse AG, London Branch
|
Issue: | Callable contingent income securities
|
Underlying ETFes: | iShares MSCI Emerging Markets ETF, iShares Russell 2000 ETF and SPDR S&P 500 ETF Trust,
|
Amount: | $2,154,000
|
Maturity: | Feb. 3, 2022
|
Coupon: | 8% per year, payable quarterly if each ETF closes at or above knock-in level on each trading day during that quarter
|
Price: | Par
|
Payout at maturity: | If each ETF finishes at or above knock-in level, par; otherwise, 1% loss for every 1% that least-performing ETF declines from initial level
|
Call option: | Quarterly at par
|
Initial levels: | $42.11 for EM ETF, $160.53 for Russell ETF, $321.73 for S&P ETF
|
Knock-in levels: | $29.48 for EM ETF, $112.37 for Russell ETF, $225.21 for S&P ETF, or 70% of initial levels
|
Pricing date: | Jan. 31
|
Settlement date: | Feb. 5
|
Agent: | Credit Suisse Securities (USA) LLC
|
Distributor: | Morgan Stanley Smith Barney LLC
|
Fees: | 2%
|
Cusip: | 22550N230
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.